Weibull Racing Time-to-event Modeling and Analysis of Online Borrowers' Loan Payoff and Default

11/02/2019

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by   Quan Zhang, et al.

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We propose Weibull delegate racing (WDR) to explicitly model surviving under competing events and to interpret how the covariates accelerate or decelerate the event time. It explains non-monotonic covariate effects by racing a potentially infinite number of sub-events, and consequently relaxes the ubiquitous proportional-hazards assumption which may be too restrictive. For inference, we develop a Gibbs-sampler-based MCMC algorithm along with maximum a posteriori estimations for big data applications. We analyze time to loan payoff and default on Prosper.com, demonstrating not only a distinguished performance of WDR, but also the value of standard and soft information.